Are Volatility Expectations in Different Countries Interdependent? A Data-Driven Solution to Structural VAR Identification for Implied Equity Volatility Indices-Reference-Cited by-同舟云学术

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Are Volatility Expectations in Different Countries Interdependent? A Data-Driven Solution to Structural VAR Identification for Implied Equity Volatility Indices

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

de Silva Timothy

Publisher

Elsevier BV

Reference31 articles.

1. International Transmission of Volatility: A Study on the Volatility Indexes VX1, VDAX and VIX

2. Volatility Spillover Effects in European Equity Markets;L Baele;The Journal of Financial and Quantitative Analysis,2005

3. Delta-Hedged Gains and the Negative Market Volatility Risk Premium;G Bakshi;The Review of Financial Studies,2003

4. The structure of interdependence in international stock markets;D Bessler;Journal of International Money and Finance,2003

5. Generalised autoregressive conditional heteroscedasticity;T Bollerslev;Journal of Econometrics,1986

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